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Julia in finance

Posted: November 7th, 2018, 4:27 pm
by MTorrejon
Hi all
What do you think about this new programming language in quantitative finance particularly in classical quant finance i.e. derivatives pricing. Pros and cons vs C++/Python or other software as matlab. It is worth studying it?
thanksĀ 
Miguel

Re: Julia in finance

Posted: November 8th, 2018, 1:22 pm
by Cuchulainn
What's v++?

Why Julia in your opinion? The next great wave?

Here is another exotic(?) language
viewtopic.php?f=10&t=101226

Re: Julia in finance

Posted: November 8th, 2018, 4:57 pm
by katastrofa
It's a bug in C++, Cuchulainn ;-)
"C/C++" was already disturbing, but "C++/Python" is wicked...

I'm also curious if Julia is popular in finance. I looked into it briefly, but it seems in my case making use of its potential would require too much RAM.

Re: Julia in finance

Posted: November 8th, 2018, 6:30 pm
by FaridMoussaoui
Have a look here: https://juliacomputing.com and specifically: https://juliacomputing.com/domains/finance.html

There is an example of using julia for fast AD: https://wilmott.com/automatic-for-the-greeks/